Wenying Yao : Citation Profile

Are you Wenying Yao?

University of Melbourne

5

H index

2

i10 index

63

Citations

RESEARCH PRODUCTION:

16

Articles

10

Papers

RESEARCH ACTIVITY:

   11 years (2012 - 2023). See details.
   Cites by year: 5
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 7 (10 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2024-04-18    RAS profile: 2024-04-07    
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Relations with other researchers

Works with:

Gomis-Porqueras, Pedro (2)

Rafiq, Shuddhasattwa (2)

Alexeev, Vitali (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wenying Yao.

Is cited by:

GAO, Jiti (3)

Eisenstat, Eric (2)

Koop, Gary (2)

Chan, Joshua (2)

Soccorsi, Stefano (2)

Lee, Ji Hyung (2)

pagan, adrian (2)

Sorge, Marco (2)

Angelini, Giovanni (2)

Mendieta-Muñoz, Ivan (2)

Wong, Benjamin (1)

Cites to:

Bollerslev, Tim (49)

Diebold, Francis (27)

Andersen, Torben (26)

Campbell, John (15)

Hansen, Peter (15)

Neely, Christopher (15)

Ait-Sahalia, Yacine (15)

Poskitt, Donald (14)

Laurent, Sébastien (14)

Davis, Steven (13)

Engle, Robert (10)

Main data

Where Wenying Yao has published?

Journals with more than one article published# docs
The Economic Record2
Pacific-Basin Finance Journal2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics4
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2
Discussion Papers / Free University Berlin, School of Business & Economics2

Recent works citing Wenying Yao (2024 and 2023)

YearTitle of citing document
2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2023Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535.

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2023The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns. (2023). Kwok, Simon ; Leong, Minhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000786.

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2023Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications. (2023). Do, Hung ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001305.

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2023Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management. (2023). Yousaf, Imran ; Makram, Beljid ; Al-Nassar, Nassar S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000756.

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2023Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic. (2023). Al-Shboul, Mohammad ; Mokni, Khaled ; Assaf, Ata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002100.

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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Chevallier, Julien ; Sanhaji, Bilel. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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2023Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?. (2023). Rout, Bhabani Sankar ; Das, Nupur Moni ; Khatun, Yashmin. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:4:d:10.1007_s10690-023-09398-8.

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2023Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-2.

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2023The influence of the social networks of fund managers on the herding behavior of SIFs in China. (2023). Li, Bixiao ; Wang, Yuanfei. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01675-1.

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2023Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence. (2023). coskun, yener ; Yaya, Olaoluwa S ; Gil-Alana, Luis A ; Akinsomi, Omokolade ; Yener, Coskun. In: MPRA Paper. RePEc:pra:mprapa:117002.

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2023Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5.

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2023Dynamic correlation and hedging strategy between Bitcoin prices and stock market during the Russo-Ukrainian war. (2023). Chkili, Walid ; Gaies, Mariem. In: Eurasian Economic Review. RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00231-1.

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2023Upside and downside correlated jump risk premia of currency options and expected returns. (2023). Lin, Shih-Kuei ; Chen, Ting-Fu ; Chang, Hsing-Hua. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00493-3.

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Works by Wenying Yao:

YearTitleTypeCited
In: .
[Full Text][Citation analysis]		paper0
2021Tests for jumps in yield spreads.(2021) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2020Modelling Financial Contagion Using High Frequency Data In: The Economic Record.
[Full Text][Citation analysis]		article0
2020Jump Risk in the US Financial Sector In: The Economic Record.
[Full Text][Citation analysis]		article1
2023The impact of forward guidance and large-scale asset purchase programs on commodity markets In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2020The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2018News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics.
[Full Text][Citation analysis]		article0
2017On weak identification in structural VARMA models In: Economics Letters.
[Full Text][Citation analysis]		article0
2020High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article15
2021Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2022The impact of COVID-19 pandemic on the volatility connectedness network of global stock market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article9
2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article1
2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article5
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
[Full Text][Citation analysis]		article4
2012VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper5
2014Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper2
2016Determination of Long?run and Short?run Dynamics in EC?VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2018High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance.
[Full Text][Citation analysis]		article0
2015High frequency characterization of Indian banking stocks.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2017Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article8
2022Characterizing financial crises using high-frequency data In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2014Forecasting with EC-VARMA models In: Working Papers.
[Full Text][Citation analysis]		paper0
2014VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers.
[Full Text][Citation analysis]		paper0
2015The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Cojump anchoring In: Discussion Papers.
[Full Text][Citation analysis]		paper0

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